Invited Talk

Stability analysis for stiffly accurate SRK methods

A. Rößler, D. Küpper and A. Kv\aernø

Abstract
In the present talk, we deal with the numerical solution of stochastic differential-algebraic
equations (SDAEs) of index one that are driven by a scalar Brownian motion. Recently, a class of
stiffly accurate stochastic Runge-Kutta (SRK) methods has been proposed for the strong numerical solution.
These SRK methods turned out to attain strong order one if they are applied to SDAEs and they are easy
to implement. Considering this class of implicit SRK methods, we present some special families of
approximation schemes that possess very good stability properties if their mean-square stability is analysed.